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The integer L-shaped method for stochastic integer programs with complete recourse

1993; Elsevier BV; Volume: 13; Issue: 3 Linguagem: Inglês

10.1016/0167-6377(93)90002-x

1872-7468

Gilbert Laporte, François Louveaux,

Economic theories and models

In this paper, a general branch-and-cut procedure for stochastic integer programs with complete recourse and first stage binary variables is presented. It is shown to provide a finite exact algorithm for a number of stochastic integer programs, even in the presence of binary variables or continuous random variables in the second stage.